Novriana Sumarti
With this activity, a book in Indonesian is produced that contains standard methods for simulating stock and option pricing, as well as explaining some of the more up to date methods and the latest research results such as methods in portfolio formation. Programs written in Matlab will also be provided so that readers can practice right away. The book contains the Lattice method (binomial, trinomial) which can be applied to simulating stock prices with double barriers, the Monte-Carlo method which includes discussing variance reduction techniques, different methods to solve differential equations along with a discussion of convergence and stability, the finite element method for determining the price of the American option with a free boundary, and the optimization method in determining the stock portfolio that addresses single and multi-objective problems with their constraints. This book will be used in the course for the Masters level in Mathematics at ITB, and can also be used for readers who want to understand computation in financial mathematics. This book is printed and sold by ITB Publisher.
Penerapan Karya Tulis
The course Computation of Financial Mathematics has been implemented since the 2003 Curriculum and is taught by prof. Dr. Kuntjoro Adji Sidarto. So far, there are not many books in Indonesian that discuss computation of financial mathematics. While this course is being taught in ITB, the books used are still in English.